Business, Management and Accounting
5 years ago

Unveiling Gold Return Volatility: ARIMA-GARCH Model Predicts Future Trends

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Indonesian Journal of Mathematics Education
Gold Return Volatility Modeling Using Garch
Primadina Hasanah, Siti Qomariyah Nasir, Subchan Subchan

Paper Summary

The study aimed to analyze the volatility of gold returns by using GARCH models to address the issue of varying residuals in time series data. They examined return data from January 1, 2014, to September 23, 2016, using various data analysis techniques. The results indicated that the best model for modeling gold return volatility was ARIMA (3,0,3)-GARCH (1,1).

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